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Country risk and financial integration--A case study of South Africa

Listed author(s):
  • Goldberg, Cathy S.
  • Veitch, John M.
Registered author(s):

    This paper examines the importance of economic factors in a time-varying beta model of country risk before and after the occurrence of financial integration for South Africa's stock market. We examine how fundamental economic factors impact the variation of South Africa's country risk over the period 1993-2008. We find that exchange rates and gold prices are significant economic variables that induce significant volatility in South Africa's beta during the pre-financial integration period through June 1998. Post-financial integration, South Africa's beta rises and fundamental economic factors cease to be significant in determining its variation, a result consistent with an integrated financial market.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0275-5319(09)00041-5
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 24 (2010)
    Issue (Month): 2 (June)
    Pages: 138-145

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    Handle: RePEc:eee:riibaf:v:24:y:2010:i:2:p:138-145
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
    2. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
    3. Cathy S. Goldberg & Francisco A. Delgado, 2001. "Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 5(4), pages 259-301, December.
    4. Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
    5. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    6. Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 395-432.
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